Essays on Solvency II and the measurement and management of mortality risk:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VI, 220 S. graph. Darst. |
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Record in the Search Index
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Titel: Essays on Solvency II and the measurement and management of mortality risk
Autor: Wesker, Hannah
Jahr: 2012
Contents
I. Introduction.1
1. Motivation and Research Questions.1
2. Research Objectives.4
II. A Comparative Assessment of Basel II/III and Solvency II.12
1. Introduction.13
2. Characteristics and Regulation of the Banking and Insurance Industry.16
3. Pillar 1: Quantitative Capital Requirements.22
4. Pillar 2: Qualitative Aspects of Risk Management.30
5. Pillar 3: Disclosure Requirements.36
6. Summary of Main Differences and Similarities.40
7. Conclusion.42
III. The Impact of Natural Hedging on a Life Insurer's Risk Situation.49
1. Introduction.50
2. Model Framework.53
3. Numerical Analyses.62
4. Summary.78
IV. Mortality Risk and its Effect on Shortfall and Risk Management in Life Insurance
.86
1. Introduction.87
2. Model Framework.91
2.1 Modeling and forecasting mortality risk.91
2.2 Modeling and valuation of life insurance liabilities.96
2.3 Risk management and risk measurement.99
3. Numerical Analysis.103
3.1 Definition of input parameters and estimation of the mortality model.103
3.2 The impact of mortality risk on an insurer's risk situation.110
3.3 The impact of mortality risk on an insurer's risk management.116
3.4 Sensitivity Analyses.125
4. Summary.126
V. The Effectiveness of Mortality Contingent Bonds under Adverse Selection: A Study
of Selected Impact Factors.136
1. Introduction.137
2. Model Framework.140
3. Numerical Analysis.148
4. Summary.160
VI. Dynamic Policyholder Surrender Behavior - An Analysis of Adverse Effects with
respect to Timing and Contract Characteristics.166
1. Introduction.167
2. Model Framework.170
2.1 Modeling and forecasting mortality heterogeneity.170
2.2 Modeling surrender.172
2.3 Modeling and valuation of life insurance liabilities.175
3. Numerical Analysis.177
3.1 Underlying assumptions and scenarios.177
3.2 Discussion of numerical results in Table 1: Constant surrender rates.185
3.3 Discussion of numerical results in Table 1: Time dependent surrender rates
.187
3.4 Discussion of numerical results in Table 1: Individual specific surrender rates
.194
3.5 Discussion of numerical results in Table 1: Time dependent and individual
specific surrender rates.197
3.6 Discussion of numerical results: Impact of contract characteristics.201
4. Summary and Implications.206
VII. Conclusion.217 |
| any_adam_object | 1 |
| author | Wesker, Hannah |
| author_GND | (DE-588)1032998997 |
| author_facet | Wesker, Hannah |
| author_role | aut |
| author_sort | Wesker, Hannah |
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| building | Verbundindex |
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| dewey-full | 368.32 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 368 - Insurance |
| dewey-raw | 368.32 |
| dewey-search | 368.32 |
| dewey-sort | 3368.32 |
| dewey-tens | 360 - Social problems and services; associations |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| language | English |
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| spelling | Wesker, Hannah Verfasser (DE-588)1032998997 aut Essays on Solvency II and the measurement and management of mortality risk vorgelegt von: Hannah Wesker 2012 VI, 220 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Erlangen-Nürnberg, Univ., Diss., 2012 Europäische Union (DE-588)5098525-5 gnd rswk-swf Finanzaufsicht Versicherungsaufsicht (DE-588)4499584-2 gnd rswk-swf Versicherungsrecht (DE-588)4117359-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Europäische Union (DE-588)5098525-5 b Finanzaufsicht Versicherungsaufsicht (DE-588)4499584-2 s Versicherungsrecht (DE-588)4117359-4 s Risikomanagement (DE-588)4121590-4 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025725679&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wesker, Hannah Essays on Solvency II and the measurement and management of mortality risk Europäische Union (DE-588)5098525-5 gnd Finanzaufsicht Versicherungsaufsicht (DE-588)4499584-2 gnd Versicherungsrecht (DE-588)4117359-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)5098525-5 (DE-588)4499584-2 (DE-588)4117359-4 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | Essays on Solvency II and the measurement and management of mortality risk |
| title_auth | Essays on Solvency II and the measurement and management of mortality risk |
| title_exact_search | Essays on Solvency II and the measurement and management of mortality risk |
| title_full | Essays on Solvency II and the measurement and management of mortality risk vorgelegt von: Hannah Wesker |
| title_fullStr | Essays on Solvency II and the measurement and management of mortality risk vorgelegt von: Hannah Wesker |
| title_full_unstemmed | Essays on Solvency II and the measurement and management of mortality risk vorgelegt von: Hannah Wesker |
| title_short | Essays on Solvency II and the measurement and management of mortality risk |
| title_sort | essays on solvency ii and the measurement and management of mortality risk |
| topic | Europäische Union (DE-588)5098525-5 gnd Finanzaufsicht Versicherungsaufsicht (DE-588)4499584-2 gnd Versicherungsrecht (DE-588)4117359-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Europäische Union Finanzaufsicht Versicherungsaufsicht Versicherungsrecht Risikomanagement Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025725679&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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